How to unwrap multiple objects?
As of Blender 2.8x there is a new feature called Multi-Object Editing, means that entering edit mode now takes all selected objects into account making operations such as UV unwrapping or recalculating normals possible without manually entering edit mode on each or writing scripts.

Select all mesh objects to unwrap.
Switch into edit mode (Tab) and then unwrap (U).

Release Notes: https://wiki.blender.org/wiki/Reference/Release_Notes/2.80/Modeling

In Blender 2.7x only the active object can be edited in edit mode. If you have multiple objects you want to unwrap you can either:

Join them into one object, then unwrap. Select them in object mode and press ⎈ CtrlJ, then unwrap in edit mode (U).

Batch unwrap them as separate objects. In object mode, select the objects you want to project onto the same UV map, then press Space and search for one of the scripted projections (Smart UV project, Lightmap pack).
Note that you wont see the UV maps which are created without going into edit mode, and even then you will only see the UV map for the active object.